This invention relates to trading systems and methods. Specifically, this invention relates to trading systems and methods for trading at, or close to, the mid-price. The mid-price of a security is on or about the average of current bid and current offer prices. The mid-price is typically quoted when it is necessary to provide a single number for a financial instrument price.
For the purposes of this disclosure, a matching session is a timed process whereby traders, or brokers on behalf of traders, can submit orders to buy or sell at an advertised price, or around a fixing price within a predefined price interval, in order to execute trades. The fixing price may be determined in a fixing session—i.e., a timed process whereby traders, or brokers on behalf of traders, submit bids and/or offers in a pool of liquidity not displayed to session participants, for the main purpose of determining a consensus-based price level that can be used for benchmarking and trading in the matching session. Such a fixing price may also be referred to herein, and treated as, a mid-price to the extent that either the fixing price and/or the mid-price may preferably offer a price for launching the matching session.
It would be desirable to allow trading during the matching phase at a price other than the mid-price.
It would be further desirable to implement a post-matching trading session for trading following the matching trading session.